I have heard people refer to Alexander the Great as one of the greatest military commanders of all time because he was "undefeated in battle" during his lifetime. Is this true? I can imagine him winning every war that he fought but to win every battle seems like an incredible feat. Do we know of any individual battles that he outright lost?
If Alexander the Great is labelled as "one of the greatest military commanders of all time" is not because he wasn't defeated, but because his conquests.
Having said that, yes, it's true: there's no single defeat recorded for Alexander.
It can be argued the primary sources about his life were not impartial, but the Battle of Hydaspes river is recorded as a decisive victory for the Macedonians, not even a "Pyrrhic" victory.
Alexander's troops mutinied at the Hyphasis river because exhaustion at the prospects of campaigning for eight years more, as Alexander (at first) had no intentions of turning back.
But even if Alexander lost a battle anywhere, that wouldn't make of him a less better commander. Most commanders wearing the "undefeated" badge could choose to fight or not to fight (Davout and Suvorov come to mind). Others simply could not afford that luxury.
Alexander the Great won every battle he fought. There's no way to verify this other than to look at all his battles one-by-one, which you can do (check the links in the infobox of the Wikipedia article you linked).
That's not to say he never encountered setbacks - in the Battle of the Persian Gate he was delayed by a month - but he was always the final victor of each struggle.